KleinI               package:systemfit               R Documentation

_K_l_e_i_n _M_o_d_e_l _I

_D_e_s_c_r_i_p_t_i_o_n:

     Data for Klein's (1950) Model I of the US economy.

_U_s_a_g_e:

     data("KleinI")

_F_o_r_m_a_t:

     A data frame containing annual observations from 1920 to 1941

     _y_e_a_r Year.

     _c_o_n_s_u_m_p Consumption.

     _c_o_r_p_P_r_o_f Corporate profits.

     _c_o_r_p_P_r_o_f_L_a_g Corporate profits of the previous year.

     _p_r_i_v_W_a_g_e Private wage bill.

     _i_n_v_e_s_t Investment.

     _c_a_p_i_t_a_l_L_a_g Capital stock of the previous year.

     _g_n_p Gross national product.

     _g_n_p_L_a_g Gross national product of the previous year.

     _g_o_v_W_a_g_e Government wage bill.

     _g_o_v_E_x_p Government spending.

     _t_a_x_e_s Taxes.

     _w_a_g_e_s Sum of private and government wage bill.

     _t_r_e_n_d time trend measured as years from 1931.

_S_o_u_r_c_e:

     Greene (2003), Appendix F, Data Sets Used in Applications, Table
     F15.1.

     <URL:
     http://pages.stern.nyu.edu/~wgreene/Text/econometricanalysis.htm>

_R_e_f_e_r_e_n_c_e_s:

     Greene, W.H. (2003). _Econometric Analysis_, 5th edition. Prentice
     Hall, Upper Saddle River (NJ).

     Klein, L. (1950). _Economic Fluctuations in the United States,
     1921-1941_. John Wiley, New York.

_E_x_a_m_p_l_e_s:

     ## Repeating the estimations of Klein's (1950) Model I
     ## in Greene (2003, pp. 381 and 412)
     data( "KleinI" )
     eqConsump  <- consump ~ corpProf + corpProfLag + wages
     eqInvest   <- invest ~ corpProf + corpProfLag + capitalLag
     eqPrivWage <- privWage ~ gnp + gnpLag + trend
     inst <- ~ govExp + taxes + govWage + trend + capitalLag + corpProfLag + gnpLag
     system <- list( Consumption = eqConsump, Investment = eqInvest,
        PrivateWages = eqPrivWage )
     # OLS
     kleinOls <- systemfit( system, data = KleinI )
     summary( kleinOls )
     # 2SLS
     klein2sls <- systemfit( system, "2SLS", inst = inst, data = KleinI,
        methodResidCov = "noDfCor" )
     summary( klein2sls )
     # 3SLS
     klein3sls <- systemfit( system, "3SLS", inst = inst, data = KleinI,
        methodResidCov = "noDfCor" )
     summary( klein3sls )
     # I3SLS
     kleinI3sls <- systemfit( system, "3SLS", inst = inst, data = KleinI,
        methodResidCov = "noDfCor", maxit = 500 )
     summary( kleinI3sls )

